blackTo evaluate ES forecasts, the backtesting analysis becomes more complicated since ES is not an elicitable measure [1]} and, therefore, suitable scoring functions cannot be determined [2]}. The test of [3]} is blackcommonly used in this context, which is based on the discrepancy between the observed return and the ES forecast for the periods in which the return exceeds the VaR forecast. blackAnother suitable option is the backtesting procedure of [4]} which is based on the Unconditional ES (U\(_{ES}\) ) and Conditional ES (C\(_{ES}\) ) tests.
